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The effect of asymmetric information and transaction costs on asset pricing: theory and tests

hal.structure.identifier
dc.contributor.authorBellalah, Makram*
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorAboura, Sofiane*
dc.date.accessioned2012-07-19T15:57:42Z
dc.date.available2012-07-19T15:57:42Z
dc.date.issued2003
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9772
dc.language.isoenen
dc.subjectAsset pricingen
dc.subjectAsymmetric informationen
dc.subjectHome biasen
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelG.G1.G14en
dc.titleThe effect of asymmetric information and transaction costs on asset pricing: theory and testsen
dc.typeCommunication / Conférence
dc.description.abstractenThis paper presents a capital asset pricing model in the presence of asymmetric information and transaction costs. The model is a generalized version of Merton's (1987) model and Black's (1974) model. Empirical tests show a negative relation between the expected rate of return and the shadow costs of incomplete information. The results in this paper have the potential to explain the home bias equity in a domestic and an international context.en
dc.identifier.citationpages34en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle12th Annual Meeting of EFMAen
dc.relation.confdate2003-06
dc.relation.confcityHelsinkien
dc.relation.confcountryFinlanden
dc.description.halcandidateoui
dc.description.readershipRecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewednon
hal.identifierhal-01526167*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


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